Are you on Windows 7? I've had this issue as well; Windows can't seem to locate the files (as well as certain other files in the pj64 directory). When I turn "view hidden files" on, I don't see anything either. Apparently Explorer can't find it, but the missing folders are detected by PJ64's own directory explorer. They can't exist and not exist at the same time.
So I turn to my trusty WinDirStat, and sure enough, it locates the files and folders, which were "there all along". But when I try to open them in any program (except windows picture viewer), windows pops up an alert saying the directory or file doesn't exist.
When I click properties, it shows the file/folder icon with a mysterious padlock over it, and an unidentified owner (literally "Unidentified"). When I try to change the owner, it says again, that the file does not exist. lol.
If this sounds like your problem, the only solution I know of at the moment is to use WinDirStat, open the files up from there, take a screenshot, and paste and crop and save it using Paint, etc. But with that much trouble, you may as well take your screenshots directly using printscreen and paste and all that. Which is a hassle, but at least it skips the WinDirStat part.
It's either something to do with some degree of Windows incompatibility (the next version of PJ64 should address this?), or some sort of virus that hides files from windows explorer...
Edit:
Apparently
this poor guy suffered from the same problem as well. Not on Windows 7. Have the developers of PJ64 inadvertently implemented a way to hide files from windows explorer and most programs? intriguing. not that Microsoft themselves haven't
already implemented such a method. but it's strange to see such a problem here.